Differenze tra le pagine "TS Volatility Reversals" e "TS Volume-Weighted Average"
imported>Stefano Fanton |
imported>Stefano Fanton |
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Riga 1: | Riga 1: | ||
− | '''''Trading System " | + | '''''Trading System "Volume-Weighted Average"''''' |
Formula per Tradestation™: | Formula per Tradestation™: | ||
Riga 5: | Riga 5: | ||
INIZIO FORMULA | INIZIO FORMULA | ||
− | Type : Signal, Name : | + | Type : Signal, Name : Volume-Weighted Average |
− | + | Vars:<br>MaLen(9),<br>AvgVolume(0),<br>Turbo(0),<br>InvTurbo(0),<br>MaWeight(0),<br>TurboMA(0); | |
− | + | AvgVolume = Average(V, MaLen);<br>Turbo = (AvgVolume - Lowest(AvgVolume, MaLen)) / (Highest(AvgVolume, MaLen) - Lowest(AvgVolume, Malen));<br>InvTurbo = 1 - Turbo; | |
− | + | If MaLen > 2 Then MaWeight = (2 / (1 + MaLen)) Else MaWeight = 0.67;<br>TurboMA = TurboMA * InvTurbo + AvgPrice * Turbo;<br>If Date < 1000401 Then Begin | |
− | + | If MarketPosition = 0 and C < TurboMA and TurboMA < TurboMA [1] Then<br>Buy Tomorrow on Highest(High, 2) Stop;<br>End; | |
− | <br><br>FINE FORMULA | + | If MarketPosition = 1 and C < TurboMA Then Begin<br>ExitLong on Close;<br>ExitLong Tomorrow on EntryPrice * 0.96 Stop;<br>End; |
+ | |||
+ | If Date >= 1000401 Then Begin<br>If MarketPosition = 0 and C > TurboMA and TurboMA > TurboMA [1] Then<br>Sell Tomorrow on Lowest(Low, 2) Stop;<br>End; | ||
+ | |||
+ | If MarketPosition = -1 and C > TurboMA Then Begin<br>ExitShort on Close;<br>ExitShort Tomorrow on EntryPrice * 1.04 Stop;<br>End; | ||
+ | |||
+ | <br>FINE FORMULA | ||
== Vedi anche: == | == Vedi anche: == |
Versione attuale delle 08:58, 22 mar 2012
Trading System "Volume-Weighted Average"
Formula per Tradestation™:
INIZIO FORMULA
Type : Signal, Name : Volume-Weighted Average
Vars:
MaLen(9),
AvgVolume(0),
Turbo(0),
InvTurbo(0),
MaWeight(0),
TurboMA(0);
AvgVolume = Average(V, MaLen);
Turbo = (AvgVolume - Lowest(AvgVolume, MaLen)) / (Highest(AvgVolume, MaLen) - Lowest(AvgVolume, Malen));
InvTurbo = 1 - Turbo;
If MaLen > 2 Then MaWeight = (2 / (1 + MaLen)) Else MaWeight = 0.67;
TurboMA = TurboMA * InvTurbo + AvgPrice * Turbo;
If Date < 1000401 Then Begin
If MarketPosition = 0 and C < TurboMA and TurboMA < TurboMA [1] Then
Buy Tomorrow on Highest(High, 2) Stop;
End;
If MarketPosition = 1 and C < TurboMA Then Begin
ExitLong on Close;
ExitLong Tomorrow on EntryPrice * 0.96 Stop;
End;
If Date >= 1000401 Then Begin
If MarketPosition = 0 and C > TurboMA and TurboMA > TurboMA [1] Then
Sell Tomorrow on Lowest(Low, 2) Stop;
End;
If MarketPosition = -1 and C > TurboMA Then Begin
ExitShort on Close;
ExitShort Tomorrow on EntryPrice * 1.04 Stop;
End;
FINE FORMULA